INTEGRATION AND LINKAGES BETWEEN GLOBAL STOCK MARKETS (CASE STUDIES ON STOCK MARKETS IN COUNTRIES IN ASIA, EUROPE AND AMERICA)
The existence of cooperative relations between countries has a positive impact, especially when there is a global economic crisis. Cooperation relations between countries are carried out through the stock market, where funds from abroad enter a country easily through the stock market. Thus, there will be integration and linkages between stock markets in countries that collaborate in the economic sector. This research aims to analyze the existence of integration and linkages of the Indonesia-JKSE stock market with other stock markets in the Asian region, (China-SSE, South Korea-KOSPI, Singapore-STI, and Japan-NIKKEI 225) and the global stock market (Germany-DAX, England-FTSE 100 and United States of America-DJIA). Data analysis was conducted using the Vector Error Correction Model (VECM) based on the research objectives. The data used in this research is monthly data for the 2015-2021 index year from each country's stock index. The research results show integration and linkages between stock markets in Asia, Europe and America in the short and long term. The research results show that three stock markets in the Asian region are integrated in the period January 2015 to December 2021. Namely, the Indonesian stock market (JKSE), South Korea (KOSPI) and the Singapore stock market (STI) and all three are influenced by other markets. The research results also show that in countries in Asia, Europe and America with strong economies, their main stock markets tend not to be influenced by other countries' stock markets. However, their main stock markets are more influenced by economic and non-economic forces in their countries.
JKSE, SSE, KOSPI, STI, NIKKEI 225, DAX, FTSE 100, DJIA, INTEGRATION, LINKAGES, VECM